Hi Graeme
The first thing you need to do is book yourself into your nearest flying school and take a couple of lessons to see if you really like it. If you decide you like it, do your class one medical. This can be done at Gatwick airport.
Once you have your Class one Medical you need to obtain a Private Pilots Licence (PPL). South Africa is a great place to do this as its cheaper and the weather is genearally fantastic. I did my PPl at Superior Pilot Services and they were excellent ( located in Grand Central Jhb). Hour building can be done here also. While the hour building is being done, you need to do the ATP therory. This can be done through Bristol distance learning. The exams are really difficult!!!!! The CPL/Multi IR is done in the UK. Oxford Ive heard is excellent if a little pricey but they seem to get the jobs.
You want to fly the big ones and get sponsored you can try BUT the chances are slim hence its an idea to fly in SA if you self fund as its cheaper. I have to admit I dont know about sponsoring in Europe but I know what the situation is here - NOT POSSIBLE unless your very very lucky and you have connections. The banks here dont give loans for flying but Ive heard that HSBC does. On top of all this, if you want to fly say the 747 you have to pay for your own type rating (+- 20 000) it sucks but its just the way the system works.
Hope this helps
Ciao BL